Showing 1 - 10 of 8,357
Persistent link: https://www.econbiz.de/10011313293
Persistent link: https://www.econbiz.de/10011595030
strategies using a stochastic discount factor approach. Employing the same data, we then consider the diversification benefits of … diversification benefits. The higher is an investor's risk aversion, the more beneficial is diversification into hedge funds …
Persistent link: https://www.econbiz.de/10012849217
Persistent link: https://www.econbiz.de/10012426348
Multifactor funds, which offer factor diversification neatly packaged in one product, have a rather short but poor … performance of multifactor funds relative to two homemade factor diversification strategies, which simply combine single …
Persistent link: https://www.econbiz.de/10014349953
produces alpha weights with insufficient diversification and/or skewed distribution against, e.g., turnover. This can be …
Persistent link: https://www.econbiz.de/10011402659
Persistent link: https://www.econbiz.de/10011495043
This article shows that it can take a long period of time until research knowledge finds its application in practice and get disseminated as innovation trend. Factor-based investing is such an example. Having its developing roots in the nineties, it took more than two decades until this approach...
Persistent link: https://www.econbiz.de/10011658838
Persistent link: https://www.econbiz.de/10012264294
diversification is not an easy task as it is impacted by a huge number of different factors: the way systematic risk is measured, the … of the asset features, the model adopted to measure diversification (i.e., equally weighted versus optimal allocation …
Persistent link: https://www.econbiz.de/10012795951